Environment:
The only requirement for this guide is to have a debian or ubuntu

Install the necessary packages:
apt-get install wget build-essential apache2 php5-gd wget libgd2-xpm libgd2-xpm-dev libapache2-mod-php5

Download nagios and the plugin:

wget http://sourceforge.net/projects/nagios/files/nagios-4.x/nagios-4.0.1/nagios-4.0.1.tar.gz
wget https://www.nagios-plugins.org/download/nagios-plugins-1.5.tar.gz

# useradd nagios
groupadd nagcmd
usermod -a -G nagcmd nagios

tar zxvf nagios-4.0.1.tar.gz

Note: this Nagios version (4.0.1) has a bug in the map (statusmap.c). To solve this problem download and install the following patch before you start Nagios installation

Download the patch from this link:
http://tracker.nagios.org/view.php?id=470

Download the file: nagios-4-statusmap-2.patch

To apply the patch execute this command:

patch -p0 --verbose < patch_name

The patch fixes 2 files:
directory_nagios/cgi/statusmap.c
directory_nagios/common/objects.c

Even if this patch is for version 4.0.0, it also works for 4.0.1.
At first try the patch will fail, just manually enter the path to the source of nagios 4.0.1.

Now it is possible to install Nagios:

cd nagios-4.0.1

./configure --with-nagios-group=nagios --with-command-group=nagcmd --with-mail=/usr/bin/sendmail

make all
make install
make install-init
make install-config
make install-commandmode
make install-webconf

cp -R contrib/eventhandlers/ /usr/local/nagios/libexec/
chown -R nagios:nagios /usr/local/nagios/libexec/eventhandlers
/usr/local/nagios/bin/nagios -v /usr/local/nagios/etc/nagios.cfg

There is another bug in Nagios, namely in: /etc/init.d/nagios
you have to change everything with a "hack" code.
Download the code from this website and copy it inside /etc/init.d/nagios
http://support.nagios.com/forum/viewtopic.php?f=7&t=12038&start=20#p64091

Install daemon
apt-get install daemon

Now it is possible to start nagios

/etc/init.d/nagios start

You can create the admin user for nagios:

htpasswd -c /usr/local/nagios/etc/htpasswd.users nagiosadmin

The plugin:

apt-get install libssl-dev

tar zxvf nagios-plugins-1.5.tar.gz

cd nagios-plugins-1.5

./configure --with-nagios-user=nagios --with-nagios-group=nagios
make
make install

ln -s /etc/init.d/nagios /etc/rcS.d/S99nagios

Now if everything went well you should have your Nagios running on the browser:

http://<your.nagios.server.ip>/nagios

This post is also available in: Italian